Using the extremal index for value-at-risk backtesting
SFB 823 ; Axel Bücher, Peter N. Posch, Philipp Schmidtke
| Year of publication: |
[2018]
|
|---|---|
| Authors: | Bücher, Axel ; Posch, Peter N. ; Schmidtke, Philipp |
| Institutions: | Sonderforschungsbereich Statistical Modelling of Nonlinear Dynamic Processes (issuing body) |
| Publisher: |
[Dortmund] : SFB 823 |
| Subject: | VaR Backtesting | Extremal Index | Independence | Risk measures | Risikomaß | Risk measure | Index | Index number | Messung | Measurement | Risiko | Risk | Statistischer Test | Statistical test | Ausreißer | Outliers | Schätzung | Estimation | Risikomanagement | Risk management | VAR-Modell | VAR model | Prognoseverfahren | Forecasting model |
freely available
| Extent: | 1 Online-Ressource (56 Seiten, 425,40 KB) Diagramme |
|---|---|
| Series: | Discussion papers / Technische Universität Dortmund Fakultät Statistik, SFB 823. - Dortmund, ZDB-ID 2572745-X. - Vol. Nr. 2018, 25 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper |
| Language: | English |
| Notes: | Literaturverzeichnis: Seite 48-51 |
| Other identifiers: | 10.17877/DE290R-19196 [DOI] hdl:2003/37201 [Handle] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011921089